The striker, who has netted 20 goals in all competitions this season, was unable to prevent Stranraer from holding his side to a 1-1 draw back on Boxing Day.
The Stair Park part-timers snatched an equaliser with the final kick of the ball in the sixth minute of stoppage time.
It is the only game out of the 22 he has been involved in that Daly has not been victorious.
Yet the Irishman, who the Light Blues supporters have taken to their hearts this season, has revealed that result still hurts.
And he is determined not to experience another one like it in any of the games that Rangers have coming up this season - including in the William Hill Scottish Cup, starting with Dunfermline this Friday night.
"The game on Boxing Day when we dropped two points to Stranraer still haunts us," he said.
"I don't want to experience that again. We just want to keep winning games."
The Govan club's progress in the national knockout cup competition will be monitored closely by everyone in Scottish football this season.
There is huge interest in how the third-tier club will fare against top-flight opposition and great speculation about whether they can actually win it.
Despite their position in SPFL League One, manager Ally McCoist has some vastly-experienced and talented professionals at his disposal this season.
He brought in the likes of Cammy Bell, Nicky Clark, Daly, Nicky Law, Bilel Mohsni and Arnold Peralta on free transfers last summer.
And their prolific hitman, who helped Dundee United beat Ross County to lift the famous trophy in 2010, reckons they have the winning mentality needed to prevail.
He said: "The manager said to all the new boys when they came in during the summer that nothing less than winning will do. We have that winning mentality among the players.
"Every player in Scotland wants to do well in the Scottish Cup because it's a fantastic competition to be involved in and we are no different.
"To win the cup with United was fantastic.
"Last year I was still at United and we were unlucky at the semi-final stage not to go through.
"It's all about how you perform on the day, so it's a massive game for us against Dunfermline on Friday night and a great opportunity to get to a quarter-final.
"Dunfermline are a decent side and they've had a good season so far. I'm sure they'll be well up for the game and it's up to us to ensure we match that and get through.
"It would be nice to face a team from the Premiership further down the line. Whoever you are drawn against, you have to deal with that."
Daly continued: "Winning trophies is obviously massive for Rangers. You look forward to trying to win more trophies.
"We're still in the cup and as long as we're in it, we've got a chance of winning it.
"There are clubs that have done it before from the lower leagues. They've got to the latter stages and probably fallen at the final hurdle.
"It would be great if we could get through to a final. But there's a lot of football to be played before then, and we need to concentrate on the game on Friday before we can start looking too far ahead."
Daly and his Rangers team-mates have, despite their incredible track record this season, been subjected to some abuse from their own supporters.
The wins over part-time rivals Arbroath and Brechin City at Ibrox in their last two outings have been narrow and far from convincing.
But the striker, who has netted goals in both of those league triumphs, stressed he is unconcerned with the flak flying in their direction.
The 31-year-old believes it drives home the high standards Rangers have to attain every week no matter who the opposition they are playing against.
He said: "Personally, I try not to focus what's going on off the park. I try not to let it affect me, but it might affect younger boys.
"Fans are entitled to vent their frustrations. They are paying customers. The level of expectation is so high so if we don't meet that level then they will obviously show their frustration."
Rangers fans found their Scottish Cup fifth-round match against Dundee United at Tannadice 12 months ago a frustrating experience.
Daly helped to set up Johnny Russell for the opening goal in the first minute and his United side eventually ran out comfortable 3-0 winners.
The player reflected: "It's amazing that a year in football can change so much. Twelve months ago I was getting ready to face Rangers in the fifth round, now I'm obviously playing for them. It's been a big change but one that I've really enjoyed.
"I remember the start to the game well. We kicked off and it went back to Gavin Gunning. He put a ball up between me and Lee Wallace and I've managed to win it. Johnny Russell took a great touch before firing it under the keeper.
'It's the kind of the start everyone is after. And I've definitely not mentioned it to Waldo since joining Rangers at all!
"It's been nice to get in on the goals again in the last couple of weeks. Hopefully I can score for Rangers in the cup against Dunfermline."